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tseriesEntropy: Entropy Based Analysis and Tests for Time Series
Implements an Entropy measure of dependence based on the Bhattacharya-Hellinger-Matusita distance. Can be used as a (nonlinear) autocorrelation/crosscorrelation function for continuous and categorical time series. The package includes tests for serial and cross dependence and nonlinearity based on it. Some routines have a parallel version that can be used in a multicore/cluster environment. The package makes use of S4 classes.
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Package details |
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| Author | Simone Giannerini [aut, cre] (<https://orcid.org/0000-0002-0710-668X>) |
| Maintainer | Simone Giannerini <simone.giannerini@unibo.it> |
| License | GPL (>= 2) |
| Version | 0.7-2 |
| Package repository | View on CRAN |
| Installation |
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